Overview
- A research monograph on the time series econometric methods that are applied to macro-economic studies
- It builds upon the results on cointegrated VAR by Professors Granger and Johansen, but turns its focus from the stochastic integrated components to the relations among the deterministic trends of different variables
- It provides methods to investigate the economic growth in the circumstances where the growth rates are subjected to structural changes
- Though the authors have been motivated by the Japanese economic growth, the book is hoped to find applicability to other countries as well
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Table of contents (8 chapters)
Keywords
About this book
In macro-econometrics more attention needs to be paid to the relationships among deterministic trends of different variables, or co-trending, especially when economic growth is of concern. The number of relationships, i.e., the co-trending rank, plays an important role in evaluating the veracity of propositions, particularly relating to the Japanese economic growth in view of the structural changes involved within it. This book demonstrates how to determine the co-trending rank from a given set of time series data for different variables. At the same time, the method determines how many of the co-trending relations also represent cointegrations. This enables us to perform statistical inference on the parameters of relations among the deterministic trends. Co-trending is an important contribution to the fields of econometric methods, macroeconomics, and time series analyses.
Authors and Affiliations
Bibliographic Information
Book Title: Co-trending: A Statistical System Analysis of Economic Trends
Authors: Michio Hatanaka, Hiroshi Yamada
DOI: https://doi.org/10.1007/978-4-431-65912-9
Publisher: Springer Tokyo
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eBook Packages: Springer Book Archive
Copyright Information: Springer-Verlag Tokyo 2003
Hardcover ISBN: 978-4-431-40158-2Due: 20 August 2003
Softcover ISBN: 978-4-431-65914-3Published: 23 August 2014
eBook ISBN: 978-4-431-65912-9Published: 06 December 2012
Edition Number: 1
Number of Pages: X, 115
Topics: Econometrics, Regional/Spatial Science
Industry Sectors: Finance, Business & Banking